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Solving Dynamic Programming Problems on a Computational Grid

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  • Yongyang Cai
  • Kenneth L. Judd
  • Greg Thain
  • Stephen J. Wright

Abstract

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is implemented using the Master-Worker library running on the HTCondor grid computing platform. We implement value function iteration for several large dynamic programming problems of two kinds: optimal growth problems and dynamic portfolio problems. We present examples that solve in hours on HTCondor but would take weeks if executed on a single workstation. The use of HTCondor can increase a researcher’s computational productivity by at least two orders of magnitude.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18714.

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Date of creation: Jan 2013
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Handle: RePEc:nbr:nberwo:18714

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  1. Juillard, Michel & Villemot, Sébastien, 2011. "Multi-country real business cycle models: Accuracy tests and test bench," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(2), pages 178-185, February.
  2. Yongyang Cai & Kenneth L. Judd, 2010. "Stable and Efficient Computational Methods for Dynamic Programming," Journal of the European Economic Association, MIT Press, MIT Press, vol. 8(2-3), pages 626-634, 04-05.
  3. Yongyang Cai & Kenneth L. Judd & Thomas S. Lontzek & Valentina Michelangeli & Che-Lin Su, 2013. "Nonlinear Programming Method for Dynamic Programming," NBER Working Papers 19034, National Bureau of Economic Research, Inc.
  4. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
  5. Den Haan, Wouter J. & Judd, Kenneth L. & Juillard, Michel, 2011. "Computational suite of models with heterogeneous agents II: Multi-country real business cycle models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(2), pages 175-177, February.
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Cited by:
  1. Lilia Maliar, 2013. "Assessing gains from parallel computation on supercomputers," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2013-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Cai, Yongyang & Steinbuks, Jevgenijs & Elliott, Joshua & Hertel, Thomas W., 2014. "The effect of climate and technological uncertainty in crop yields on the optimal path of global land use," Policy Research Working Paper Series 7009, The World Bank.

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